Chinese Stock Screening by Amplitude and 10-Day Return

Summary

This post outlines a Chinese stock screen using daily price movement and recent momentum. It selects stocks whose high-low range exceeds 1% of the prior close and whose 10-day return is positive but below 35%. A sample indicator formula also adds a close-above-10-day-average condition and a further yearly filter; the Python example instead keeps prices near the 10-day average and filters by a start year. These implementations therefore do not fully match the brief description.

The author frames the amplitude threshold as a way to find volatile stocks and the return band as a way to avoid the strongest recent run-ups. No backtest, performance figures, or empirical evidence are provided. The post cautions that a single screening rule can overlook other relevant factors and that historical behavior does not guarantee future results. It suggests adding indicators and examining a longer period, but does not specify a complete portfolio, entry, exit, or risk-management process.

Key ideas

• The screen looks for stocks with a daily high-low range above 1% of the prior close.
• It restricts the 10-day price return to a positive value below 35%.
• The sample formulas include additional moving-average and yearly filters that vary between implementations.
• The post gives no performance test and warns against relying on one screening condition.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.